Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0034 |
| Annualized Std Dev | 0.1589 |
| Annualized Sharpe (Rf=0%) | -0.0212 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5457.0000 |
| NAs | 1.0000 |
| Minimum | -0.0978 |
| Quartile 1 | -0.0044 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0046 |
| Maximum | 0.1619 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0100 |
| Skewness | 1.0262 |
| Kurtosis | 29.9197 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0069 |
| Gain Deviation | 0.0081 |
| Loss Deviation | 0.0075 |
| Downside Deviation (MAR=210%) | 0.0121 |
| Downside Deviation (Rf=0%) | 0.0069 |
| Downside Deviation (0%) | 0.0069 |
| Maximum Drawdown | 0.4407 |
| Historical VaR (95%) | -0.0142 |
| Historical ES (95%) | -0.0224 |
| Modified VaR (95%) | -0.0073 |
| Modified ES (95%) | -0.0073 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-03-21 | 2009-03-09 | NA | -0.4407 | 3719 | 718 | NA |
| 1999-01-08 | 2000-03-15 | 2001-07-27 | -0.2033 | 602 | 276 | 326 |
| 2004-03-10 | 2004-05-10 | 2004-10-29 | -0.1614 | 160 | 41 | 119 |
| 2003-06-10 | 2003-08-01 | 2004-03-09 | -0.1239 | 189 | 38 | 151 |
| 2001-09-07 | 2002-03-19 | 2002-06-04 | -0.0924 | 175 | 125 | 50 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.4 | 0 | -0.8 | 0 | 0 | 0 | 0.4 | 0.5 | 0 | 1 | 0 | 0.5 | 2 |
| 2000 | 1 | -1 | 1.5 | 0 | 0 | 0.5 | -0.5 | 0 | 0 | -2.9 | 0 | 0.5 | -0.9 |
| 2001 | -1.2 | 0 | 1.7 | 0.1 | 0.6 | 0.4 | -0.7 | 0.5 | 0.3 | 0.1 | -0.8 | 1 | 2.1 |
| 2002 | -0.5 | 0.3 | 0.3 | 0.1 | -0.5 | 0.3 | 0 | 0.9 | 0.3 | -0.1 | 0.9 | 0 | 2.2 |
| 2003 | 0.2 | 0.6 | -0.2 | -0.1 | 0.5 | 0.8 | -0.3 | 0.5 | 1 | -0.3 | -0.1 | -0.3 | 2.3 |
| 2004 | -0.1 | -0.1 | -0.1 | 1.7 | 1.5 | -0.8 | 3 | -0.4 | -1.1 | -0.5 | -0.6 | 0.1 | 2.7 |
| 2005 | -0.5 | 0.9 | -0.2 | -1 | -0.3 | -1.4 | -1.3 | -0.1 | 1.3 | -0.6 | -0.4 | -0.3 | -3.7 |
| 2006 | -0.8 | -0.5 | 1.5 | 0.7 | 1 | 1.9 | -0.7 | 0 | 0 | 0.7 | 0.3 | 0.4 | 4.4 |
| 2007 | 0 | -0.2 | 0.2 | 1.9 | 0.3 | 1 | -0.3 | 0 | 1.9 | -3.2 | 2.1 | -0.1 | 3.5 |
| 2008 | 0.8 | 1 | 0.5 | 0.4 | 0.4 | 2 | -2.7 | 0.5 | -1.4 | 2.2 | 0.9 | 3.9 | 8.7 |
| 2009 | -0.2 | 1.8 | 2.4 | -0.4 | -1.2 | -0.2 | 0.4 | 0 | -0.1 | -0.3 | 1.2 | 0.2 | 3.7 |
| 2010 | 0.7 | -0.5 | -0.9 | -0.1 | 0 | -1 | 0.3 | -0.2 | -0.9 | 0.2 | -0.1 | 1.9 | -0.7 |
| 2011 | 0 | -0.3 | 0.4 | 0.3 | 0.7 | 0 | 0.1 | 0.3 | 1.1 | 0.5 | 0.4 | -0.7 | 2.9 |
| 2012 | 0.6 | -0.5 | 0.7 | 0.8 | -0.6 | 0 | 1 | -0.3 | 0.3 | 0.8 | -0.2 | 0.1 | 2.7 |
| 2013 | -0.6 | 0.7 | -0.5 | 0.1 | -1.9 | -0.2 | 0.5 | -0.7 | -0.1 | -1.4 | 0.7 | -2.6 | -5.9 |
| 2014 | 0.1 | 0.5 | -0.6 | 0.6 | -0.2 | 0.1 | 0 | -0.2 | -1.3 | -0.6 | 0.4 | 0.7 | -0.6 |
| 2015 | 1.4 | 0.5 | 0.9 | -0.2 | -0.1 | -0.7 | 0.3 | 0.5 | -0.4 | 0.6 | 1.5 | 0.3 | 4.7 |
| 2016 | 0.6 | 0.3 | 0.3 | -1.7 | -0.1 | 0.6 | 0.1 | -0.2 | -0.7 | -0.7 | -0.9 | 0 | -2.4 |
| 2017 | 0 | -0.3 | -0.2 | -1.6 | -0.8 | 0.5 | 1.5 | -1.3 | -0.2 | 1.2 | 0 | 0.1 | -1.2 |
| 2018 | -0.7 | -0.4 | 0.5 | 1.2 | 0 | 0.3 | -0.1 | 3.4 | 0.4 | 0.1 | 0.9 | -1.1 | 4.5 |
| 2019 | -0.1 | 0.6 | 0 | 0.3 | 0.3 | -0.3 | 0.4 | 0.3 | 0.7 | 1.9 | 0.6 | 0.7 | 5.4 |
| 2020 | 0.7 | -0.7 | 0.1 | 0.2 | 0.7 | -0.2 | 1.2 | 0.2 | -0.3 | 0.4 | -0.1 | 0 | 2 |
| 2021 | -0.3 | 0.9 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
